- Activity
- Tech Directory
- Analytics / Financial Libraries
- Asset Management Solutions
- ECNs/Exchanges/MTFs
- Hardware Vendors
- Infrastructure Solutions
- Insurance Systems
- Liquidity Management
- Market Data
- Middle / Back Office
- Payment Solutions
- Reference Data Solutions
- Retail Systems
- Risk Management Solutions
- Trading Systems
- Treasury Management
- Wholesale Banking Systems
- Fund Services
- Consulting
- Education
- Training
- Events
- Books
- Research
- Latest Research
- Research Library
- Behavioural Finance
- CDOs
- Collections and Resources
- Complexity Science
- Computational Finance
- Corporate Finance
- Decision Science
- Econometrics
- Economic / Financial Models
- Economic History
- Econophysics
- Education Issues
- Environmental Economics
- Ethics / Religion
- Evolutionary Economics
- Finance and Society
- Financial Bubbles
- Financial Crime
- Financial Crises
- Financial Instruments
- Financial Markets
- Financial Regulation
- Gambling and Finance
- Game Theory
- General Banking
- Hedge Funds
- High Frequency Trading
- Insurance
- Introductions and Fuindamentals
- Islamic Banking and Finance
- Liquidity
- Literature Reviews
- Macroeconomics
- Market Efficiency
- Market Microstructure
- Network Science
- Neuroeconomics
- Options Pricing and Valuation
- Philosophy of Finance
- Policy Issues
- Publishing Issues
- Quantitative Methods
- Research Issues
- Risk Management
- Shareholder Activism
- Structured Finance
- Volatility
- Link Library
- Issues in Research and Publishing
- Issues in Quantitative Finance
- Humour
- Fun and Games
- Econophysics
- Financial Crisis
- Neuroeconomics
- Financial Careers
- Banking Recruitment Sites
- Profiles and People
- Interviews
- Ratings and Agencies
- Popular Finance
- Podcasts
- Flash Crash
- The Future of Finance
- Historical Resources
- Open Courseware
- Forums and Discussion
- Directories and Portals
- Glossaries
- Social Networks
- Financial Calculators
- Financial Technology and Software
- Programming
- GPUs
- Parallel Processing
- Quant Programming
- C++
- dot Net
- Java
- Matlab
- Open Sources Essentials
- VBA / Excel
- R / S+
- Blogs
Next Dates: - Introduction to QuantLib Development with Luigi Ballabio, September 2 - 4, 2013 - £1700
An International Journal of Mathematics, Statistics and Financial Economics.
Bookmark & Share
SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS
Sat, 14 Apr 2012 05:31:32 GMT
For data on market prices for 246 cliquets we consider pricing these exotic options using a relatively simple path space. The path space is subsequently stressed to market implied stress levels as well as stress levels predicted from contract characteristics. An additive process transitioning from a Sato process to a Levy process is formulated and estimated on vanilla options. Ask prices constructed from predicted stress levels are observed to have an in sample correlation of 92% with market prices. Interestingly, it is observed that capped cash flows have negative stress levels while uncapped products have positive stress levels. We illustrate the effect of hedging cliquet liabilities using call options as hedging assets permitting a 10% reduction in ask prices.
Related content
